The Impact of Macroeconomic News on Polish and Czech Government Bond Markets

Vojtech Pistora () and Václav Hausenblas
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Vojtech Pistora: Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague, Smetanovo nábreží 6, 111 01 Prague 1, Czech Republic

No 2015/12, Working Papers IES from Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies

Abstract: We study the impact of news embedded in scheduled macroeconomic announcements on the government bond market in Poland and the Czech Republic. We conduct an event study on intraday data and time-series regressions using daily data over an eight-year period, distinguishing between effects under different stages of the business cycle. We find that the Polish government bonds prices respond to several domestic indicators in a manner consistent with research from mature markets: inflation considerations appear to dominate credit risk considerations. For the most part, impact of news is incorporated in prices during the first hour since the release time. We could find much fewer systematic patterns for the Czech government bond market where any response was delayed. In both countries, the impact of GDP was found to vary between different stages of the business cycle.

Keywords: macroeconomic news; government bond market; intraday data; event study; GARCH; CEE (search for similar items in EconPapers)
JEL-codes: C22 C82 G12 (search for similar items in EconPapers)
Pages: 40 pages
Date: 2015-05, Revised 2015-05
New Economics Papers: this item is included in nep-tra
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